Morgan Stanley 2010 Annual Report Download - page 156
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MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Securities Sold under Agreements to Repurchase.
• In 2010, the fair value option was elected for certain securities sold under agreements to repurchase. The
fair value of a repurchase agreement is computed using a standard cash flow discounting methodology.
The inputs to the valuation include contractual cash flows and collateral funding spreads, which are
estimated using various benchmarks, interest rate yield curves and option volatilities. In instances where
the unobservable inputs are deemed significant, repurchase agreements are categorized in Level 3 of the
fair value hierarchy; otherwise, they are categorized in Level 2 of the fair value hierarchy.
The following fair value hierarchy tables present information about the Company’s assets and liabilities
measured at fair value on a recurring basis at December 31, 2010 and December 31, 2009. See Note 2 for a
discussion of the Company’s policies regarding the fair value hierarchy.
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